#!/usr/bin/env python3 # Copyright (c) Meta Platforms, Inc. and affiliates. # # This source code is licensed under the MIT license found in the # LICENSE file in the root directory of this source tree. from __future__ import annotations from collections import defaultdict from functools import partial from typing import ( TYPE_CHECKING, Callable, Dict, List, MutableMapping, Optional, Tuple, Union, ) import numpy as np import torch from ax.core.base_trial import TrialStatus from ax.core.batch_trial import BatchTrial from ax.core.experiment import Experiment from ax.core.objective import MultiObjective, Objective, ScalarizedObjective from ax.core.observation import Observation, ObservationData, ObservationFeatures from ax.core.optimization_config import ( MultiObjectiveOptimizationConfig, TRefPoint, OptimizationConfig, ) from ax.core.outcome_constraint import ( ComparisonOp, OutcomeConstraint, ScalarizedOutcomeConstraint, ) from ax.core.parameter import ChoiceParameter, ParameterType, RangeParameter from ax.core.parameter_constraint import ParameterConstraint from ax.core.search_space import SearchSpace, SearchSpaceDigest from ax.core.trial import Trial from ax.core.types import TBounds, TCandidateMetadata from ax.modelbridge.transforms.base import Transform from ax.modelbridge.transforms.derelativize import Derelativize from ax.models.torch.frontier_utils import ( get_weighted_mc_objective_and_objective_thresholds, get_default_frontier_evaluator, ) from ax.utils.common.logger import get_logger from ax.utils.common.typeutils import ( checked_cast_optional, not_none, checked_cast_to_tuple, ) from botorch.utils.multi_objective.box_decompositions.dominated import ( DominatedPartitioning, ) from torch import Tensor logger = get_logger(__name__) if TYPE_CHECKING: # import as module to make sphinx-autodoc-typehints happy from ax import modelbridge as modelbridge_module # noqa F401 # pragma: no cover def extract_parameter_constraints( parameter_constraints: List[ParameterConstraint], param_names: List[str] ) -> Optional[TBounds]: """Extract parameter constraints.""" if len(parameter_constraints) > 0: A = np.zeros((len(parameter_constraints), len(param_names))) b = np.zeros((len(parameter_constraints), 1)) for i, c in enumerate(parameter_constraints): b[i, 0] = c.bound for name, val in c.constraint_dict.items(): A[i, param_names.index(name)] = val linear_constraints: TBounds = (A, b) else: linear_constraints = None return linear_constraints def extract_search_space_digest( search_space: SearchSpace, param_names: List[str] ) -> SearchSpaceDigest: """Extract basic parameter properties from a search space.""" bounds: List[Tuple[Union[int, float], Union[int, float]]] = [] ordinal_features: List[int] = [] categorical_features: List[int] = [] discrete_choices: Dict[int, List[Union[int, float]]] = {} task_features: List[int] = [] fidelity_features: List[int] = [] target_fidelities: Dict[int, Union[int, float]] = {} for i, p_name in enumerate(param_names): p = search_space.parameters[p_name] if isinstance(p, ChoiceParameter): if p.is_task: task_features.append(i) elif p.is_ordered: ordinal_features.append(i) else: categorical_features.append(i) # at this point we can assume that values are numeric due to transforms discrete_choices[i] = p.values # pyre-ignore [6] bounds.append((min(p.values), max(p.values))) # pyre-ignore [6] elif isinstance(p, RangeParameter): if p.log_scale: raise ValueError(f"{p} is log scale") if p.parameter_type == ParameterType.INT: ordinal_features.append(i) d_choices = list(range(int(p.lower), int(p.upper) + 1)) discrete_choices[i] = d_choices # pyre-ignore [6] bounds.append((p.lower, p.upper)) else: raise ValueError(f"Unknown parameter type {type(p)}") if p.is_fidelity: if not isinstance(not_none(p.target_value), (int, float)): raise NotImplementedError("Only numerical target values are supported.") target_fidelities[i] = checked_cast_to_tuple((int, float), p.target_value) fidelity_features.append(i) return SearchSpaceDigest( feature_names=param_names, bounds=bounds, ordinal_features=ordinal_features, categorical_features=categorical_features, discrete_choices=discrete_choices, task_features=task_features, fidelity_features=fidelity_features, target_fidelities=target_fidelities, ) def extract_objective_thresholds( objective_thresholds: TRefPoint, objective: Objective, outcomes: List[str], ) -> Optional[np.ndarray]: """Extracts objective thresholds' values, in the order of `outcomes`. Will return None if no objective thresholds, otherwise the extracted tensor will be the same length as `outcomes`. If one objective threshold is specified, they must be specified for every metric in the objective. Outcomes that are not part of an objective will be given a threshold of 0 in this tensor, under the assumption that its value will not be used. Note that setting it to 0 for an outcome that is part of the objective would be incorrect, hence we validate that all objective metrics are represented. Args: objective_thresholds: Objective thresholds to extract values from. objective: The corresponding Objective, for validation purposes. outcomes: n-length list of names of metrics. Returns: (n,) array of thresholds """ if len(objective_thresholds) == 0: return None objective_threshold_dict = {} for ot in objective_thresholds: if ot.relative: raise ValueError( f"Objective {ot.metric.name} has a relative threshold that is not " f"supported here." ) objective_threshold_dict[ot.metric.name] = ot.bound if len(objective_threshold_dict) != len(objective.metrics): raise ValueError( "Objective thresholds do not match number of objective metrics." ) # Initialize these to be nan to make sure that objective thresholds for # non-objective metrics are never used obj_t = np.full(len(outcomes), float("nan")) for metric in objective.metrics: if metric.name not in objective_threshold_dict: raise ValueError( f"Objective threshold not specified for {metric.name}. Thresholds must " f"be specified for all objective metrics or for none." ) obj_t[outcomes.index(metric.name)] = objective_threshold_dict[metric.name] return obj_t def extract_objective_weights(objective: Objective, outcomes: List[str]) -> np.ndarray: """Extract a weights for objectives. Weights are for a maximization problem. Give an objective weight to each modeled outcome. Outcomes that are modeled but not part of the objective get weight 0. In the single metric case, the objective is given either +/- 1, depending on the minimize flag. In the multiple metric case, each objective is given the input weight, multiplied by the minimize flag. Args: objective: Objective to extract weights from. outcomes: n-length list of names of metrics. Returns: n-length list of weights. """ objective_weights = np.zeros(len(outcomes)) if isinstance(objective, ScalarizedObjective): s = -1.0 if objective.minimize else 1.0 for obj_metric, obj_weight in objective.metric_weights: objective_weights[outcomes.index(obj_metric.name)] = obj_weight * s elif isinstance(objective, MultiObjective): for obj, obj_weight in objective.objective_weights: s = -1.0 if obj.minimize else 1.0 objective_weights[outcomes.index(obj.metric.name)] = obj_weight * s else: s = -1.0 if objective.minimize else 1.0 objective_weights[outcomes.index(objective.metric.name)] = s return objective_weights def extract_outcome_constraints( outcome_constraints: List[OutcomeConstraint], outcomes: List[str] ) -> TBounds: # Extract outcome constraints if len(outcome_constraints) > 0: A = np.zeros((len(outcome_constraints), len(outcomes))) b = np.zeros((len(outcome_constraints), 1)) for i, c in enumerate(outcome_constraints): s = 1 if c.op == ComparisonOp.LEQ else -1 if isinstance(c, ScalarizedOutcomeConstraint): for c_metric, c_weight in c.metric_weights: j = outcomes.index(c_metric.name) A[i, j] = s * c_weight else: j = outcomes.index(c.metric.name) A[i, j] = s b[i, 0] = s * c.bound outcome_constraint_bounds: TBounds = (A, b) else: outcome_constraint_bounds = None return outcome_constraint_bounds def validate_and_apply_final_transform( objective_weights: np.ndarray, outcome_constraints: Optional[Tuple[np.ndarray, np.ndarray]], linear_constraints: Optional[Tuple[np.ndarray, np.ndarray]], pending_observations: Optional[List[np.ndarray]], objective_thresholds: Optional[np.ndarray] = None, final_transform: Callable[[np.ndarray], Tensor] = torch.tensor, ) -> Tuple[ Tensor, Optional[Tuple[Tensor, Tensor]], Optional[Tuple[Tensor, Tensor]], Optional[List[Tensor]], Optional[Tensor], ]: # TODO: use some container down the road (similar to # SearchSpaceDigest) to limit the return arguments # pyre-fixme[35]: Target cannot be annotated. objective_weights: Tensor = final_transform(objective_weights) if outcome_constraints is not None: # pragma: no cover # pyre-fixme[35]: Target cannot be annotated. outcome_constraints: Tuple[Tensor, Tensor] = ( final_transform(outcome_constraints[0]), final_transform(outcome_constraints[1]), ) if linear_constraints is not None: # pragma: no cover # pyre-fixme[35]: Target cannot be annotated. linear_constraints: Tuple[Tensor, Tensor] = ( final_transform(linear_constraints[0]), final_transform(linear_constraints[1]), ) if pending_observations is not None: # pragma: no cover # pyre-fixme[35]: Target cannot be annotated. pending_observations: List[Tensor] = [ final_transform(pending_obs) for pending_obs in pending_observations ] if objective_thresholds is not None: # pyre-fixme[35]: Target cannot be annotated. objective_thresholds: Tensor = final_transform(objective_thresholds) return ( objective_weights, outcome_constraints, linear_constraints, pending_observations, objective_thresholds, ) def get_fixed_features( fixed_features: ObservationFeatures, param_names: List[str] ) -> Optional[Dict[int, float]]: """Reformat a set of fixed_features.""" fixed_features_dict = {} for p_name, val in fixed_features.parameters.items(): # These all need to be floats at this point. # pyre-ignore[6]: All float here. val_ = float(val) fixed_features_dict[param_names.index(p_name)] = val_ fixed_features_dict = fixed_features_dict if len(fixed_features_dict) > 0 else None return fixed_features_dict def pending_observations_as_array( pending_observations: Dict[str, List[ObservationFeatures]], outcome_names: List[str], param_names: List[str], ) -> Optional[List[np.ndarray]]: """Re-format pending observations. Args: pending_observations: List of raw numpy pending observations. outcome_names: List of outcome names. param_names: List fitted param names. Returns: Filtered pending observations data, by outcome and param names. """ if len(pending_observations) == 0: pending_array: Optional[List[np.ndarray]] = None else: pending_array = [np.array([]) for _ in outcome_names] for metric_name, po_list in pending_observations.items(): # It is possible that some metrics attached to the experiment should # not be included in pending features for a given model. For example, # if a model is fit to the initial data that is missing some of the # metrics on the experiment or if a model just should not be fit for # some of the metrics attached to the experiment, so metrics that # appear in pending_observations (drawn from an experiment) but not # in outcome_names (metrics, expected for the model) are filtered out. if metric_name not in outcome_names: continue pending_array[outcome_names.index(metric_name)] = np.array( [[po.parameters[p] for p in param_names] for po in po_list] ) return pending_array def parse_observation_features( X: np.ndarray, param_names: List[str], candidate_metadata: Optional[List[TCandidateMetadata]] = None, ) -> List[ObservationFeatures]: """Re-format raw model-generated candidates into ObservationFeatures. Args: param_names: List of param names. X: Raw np.ndarray of candidate values. candidate_metadata: Model's metadata for candidates it produced. Returns: List of candidates, represented as ObservationFeatures. """ if candidate_metadata and len(candidate_metadata) != len(X): raise ValueError( # pragma: no cover "Observations metadata list provided is not of " "the same size as the number of candidates." ) observation_features = [] for i, x in enumerate(X): observation_features.append( ObservationFeatures( parameters=dict(zip(param_names, x)), metadata=candidate_metadata[i] if candidate_metadata else None, ) ) return observation_features def transform_callback( param_names: List[str], transforms: MutableMapping[str, Transform] ) -> Callable[[np.ndarray], np.ndarray]: """A closure for performing the `round trip` transformations. The function round points by de-transforming points back into the original space (done by applying transforms in reverse), and then re-transforming them. This function is specifically for points which are formatted as numpy arrays. This function is passed to _model_gen. Args: param_names: Names of parameters to transform. transforms: Ordered set of transforms which were applied to the points. Returns: a function with for performing the roundtrip transform. """ def _roundtrip_transform(x: np.ndarray) -> np.ndarray: """Inner function for performing aforementioned functionality. Args: x: points in the transformed space (e.g. all transforms have been applied to them) Returns: points in the transformed space, but rounded via the original space. """ # apply reverse terminal transform to turn array to ObservationFeatures observation_features = [ ObservationFeatures( parameters={p: float(x[i]) for i, p in enumerate(param_names)} ) ] # reverse loop through the transforms and do untransform for t in reversed(transforms.values()): observation_features = t.untransform_observation_features( observation_features ) # forward loop through the transforms and do transform for t in transforms.values(): observation_features = t.transform_observation_features( observation_features ) # parameters are guaranteed to be float compatible here, but pyre doesn't know new_x: List[float] = [ # pyre-fixme[6]: Expected `Union[_SupportsIndex, bytearray, bytes, str, # typing.SupportsFloat]` for 1st param but got `Union[None, bool, float, # int, str]`. float(observation_features[0].parameters[p]) for p in param_names ] # turn it back into an array return np.array(new_x) return _roundtrip_transform def get_pending_observation_features( experiment: Experiment, include_failed_as_pending: bool = False ) -> Optional[Dict[str, List[ObservationFeatures]]]: """Computes a list of pending observation features (corresponding to arms that have been generated and deployed in the course of the experiment, but have not been completed with data or to arms that have been abandoned or belong to abandoned trials). NOTE: Pending observation features are passed to the model to instruct it to not generate the same points again. Args: experiment: Experiment, pending features on which we seek to compute. include_failed_as_pending: Whether to include failed trials as pending (for example, to avoid the model suggesting them again). Returns: An optional mapping from metric names to a list of observation features, pending for that metric (i.e. do not have evaluation data for that metric). If there are no pending features for any of the metrics, return is None. """ pending_features = {} # Note that this assumes that if a metric appears in fetched data, the trial is # not pending for the metric. Where only the most recent data matters, this will # work, but may need to add logic to check previously added data objects, too. for trial_index, trial in experiment.trials.items(): dat = trial.lookup_data() for metric_name in experiment.metrics: if metric_name not in pending_features: pending_features[metric_name] = [] include_since_failed = include_failed_as_pending and trial.status.is_failed if isinstance(trial, BatchTrial): if trial.status.is_abandoned or ( (trial.status.is_deployed or include_since_failed) and metric_name not in dat.df.metric_name.values and trial.arms is not None ): for arm in trial.arms: not_none(pending_features.get(metric_name)).append( ObservationFeatures.from_arm( arm=arm, trial_index=np.int64(trial_index), metadata=trial._get_candidate_metadata( arm_name=arm.name ), ) ) abandoned_arms = trial.abandoned_arms for abandoned_arm in abandoned_arms: not_none(pending_features.get(metric_name)).append( ObservationFeatures.from_arm( arm=abandoned_arm, trial_index=np.int64(trial_index), metadata=trial._get_candidate_metadata( arm_name=abandoned_arm.name ), ) ) if isinstance(trial, Trial): if trial.status.is_abandoned or ( (trial.status.is_deployed or include_since_failed) and metric_name not in dat.df.metric_name.values and trial.arm is not None ): not_none(pending_features.get(metric_name)).append( ObservationFeatures.from_arm( arm=not_none(trial.arm), trial_index=np.int64(trial_index), metadata=trial._get_candidate_metadata( arm_name=not_none(trial.arm).name ), ) ) return pending_features if any(x for x in pending_features.values()) else None def get_pending_observation_features_based_on_trial_status( experiment: Experiment, ) -> Optional[Dict[str, List[ObservationFeatures]]]: """A faster analogue of ``get_pending_observation_features`` that makes assumptions about trials in experiment in order to speed up extraction of pending points. Assumptions: * All arms in all trials in ``STAGED,`` ``RUNNING`` and ``ABANDONED`` statuses are to be considered pending for all outcomes. * All arms in all trials in other statuses are to be considered not pending for all outcomes. This entails: * No actual data-fetching for trials to determine whether arms in them are pending for specific outcomes. * Even if data is present for some outcomes in ``RUNNING`` trials, their arms will still be considered pending for those outcomes. NOTE: This function should not be used to extract pending features in field experiments, where arms in running trials should not be considered pending if there is data for those arms. Args: experiment: Experiment, pending features on which we seek to compute. Returns: An optional mapping from metric names to a list of observation features, pending for that metric (i.e. do not have evaluation data for that metric). If there are no pending features for any of the metrics, return is None. """ pending_features = defaultdict(list) for status in [TrialStatus.STAGED, TrialStatus.RUNNING, TrialStatus.ABANDONED]: for trial in experiment.trials_by_status[status]: for metric_name in experiment.metrics: pending_features[metric_name].extend( ObservationFeatures.from_arm( arm=arm, trial_index=np.int64(trial.index), metadata=trial._get_candidate_metadata(arm_name=arm.name), ) for arm in trial.arms ) return dict(pending_features) if any(x for x in pending_features.values()) else None def get_pareto_frontier_and_configs( modelbridge: modelbridge_module.array.ArrayModelBridge, observation_features: List[ObservationFeatures], observation_data: Optional[List[ObservationData]] = None, objective_thresholds: Optional[TRefPoint] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, arm_names: Optional[List[Optional[str]]] = None, use_model_predictions: bool = True, transform_outcomes_and_configs: bool = True, ) -> Tuple[List[Observation], Tensor, Tensor, Optional[Tensor]]: """Helper that applies transforms and calls ``frontier_evaluator``. Returns the ``frontier_evaluator`` configs in addition to the Pareto observations. Args: modelbridge: ``Modelbridge`` used to predict metrics outcomes. observation_features: Observation features to consider for the Pareto frontier. observation_data: Data for computing the Pareto front, unless ``observation_features`` are provided and ``model_predictions is True``. objective_thresholds: Metric values bounding the region of interest in the objective outcome space; used to override objective thresholds specified in ``optimization_config``, if necessary. optimization_config: Multi-objective optimization config. arm_names: Arm names for each observation in ``observation_features``. use_model_predictions: If ``True``, will use model predictions at ``observation_features`` to compute Pareto front. If ``False``, will use ``observation_data`` directly to compute Pareto front, ignoring ``observation_features``. transform_outcomes_and_configs: If ``True``, will transform the optimization config, observation features and observation data, before calling ``frontier_evaluator``, then will untransform all of the above before returning the observations. Returns: Four-item tuple of: - frontier_observations: Observations of points on the pareto frontier, - f: n x m tensor representation of the Pareto frontier values where n is the length of frontier_observations and m is the number of metrics, - obj_w: m tensor of objective weights, - obj_t: m tensor of objective thresholds corresponding to Y, or None if no objective thresholds used. """ array_to_tensor = partial(_array_to_tensor, modelbridge=modelbridge) X, Y, Yvar = None, None, None if use_model_predictions: X = array_to_tensor( modelbridge.transform_observation_features(observation_features) ) if observation_data is not None: if transform_outcomes_and_configs: Y, Yvar = modelbridge.transform_observation_data(observation_data) else: Y, Yvar = observation_data_to_array( outcomes=modelbridge.outcomes, observation_data=observation_data ) Y, Yvar = (array_to_tensor(Y), array_to_tensor(Yvar)) if arm_names is None: arm_names = [None] * len(observation_features) # Extract optimization config: make sure that the problem is a MOO # problem and clone the optimization config with specified # `objective_thresholds` if those are provided. If `optimization_config` # is not specified, uses the one stored on `modelbridge`. optimization_config = _get_multiobjective_optimization_config( modelbridge=modelbridge, optimization_config=optimization_config, objective_thresholds=objective_thresholds, ) # Transform optimization config. fixed_features = ObservationFeatures(parameters={}) if transform_outcomes_and_configs: optimization_config = modelbridge.transform_optimization_config( optimization_config=optimization_config, fixed_features=fixed_features, ) else: # de-relativize outcome constraints and objective thresholds obs_feats, obs_data, _ = _get_modelbridge_training_data(modelbridge=modelbridge) tf = Derelativize( search_space=modelbridge.model_space.clone(), observation_data=obs_data, observation_features=obs_feats, config={"use_raw_status_quo": True}, ) # pyre-ignore [9] optimization_config = tf.transform_optimization_config( optimization_config=optimization_config.clone(), modelbridge=modelbridge, fixed_features=fixed_features, ) # Extract weights, constraints, and objective_thresholds objective_weights = extract_objective_weights( objective=optimization_config.objective, outcomes=modelbridge.outcomes ) outcome_constraints = extract_outcome_constraints( outcome_constraints=optimization_config.outcome_constraints, outcomes=modelbridge.outcomes, ) obj_t = extract_objective_thresholds( objective_thresholds=optimization_config.objective_thresholds, objective=optimization_config.objective, outcomes=modelbridge.outcomes, ) obj_t = array_to_tensor(obj_t) # Transform to tensors. obj_w, oc_c, _, _, _ = validate_and_apply_final_transform( objective_weights=objective_weights, outcome_constraints=outcome_constraints, linear_constraints=None, pending_observations=None, final_transform=array_to_tensor, ) frontier_evaluator = get_default_frontier_evaluator() # pyre-ignore[28]: Unexpected keyword `modelbridge` to anonymous call f, cov, indx = frontier_evaluator( model=modelbridge.model, X=X, Y=Y, Yvar=Yvar, objective_thresholds=obj_t, objective_weights=obj_w, outcome_constraints=oc_c, ) f, cov = f.detach().cpu().clone(), cov.detach().cpu().clone() indx = indx.tolist() frontier_observation_data = array_to_observation_data( f=f.numpy(), cov=cov.numpy(), outcomes=not_none(modelbridge.outcomes) ) if use_model_predictions: # Untransform observations for t in reversed(modelbridge.transforms.values()): # noqa T484 frontier_observation_data = t.untransform_observation_data( frontier_observation_data, [] ) # reconstruct tensor representation of untransformed predictions Y_arr, _ = observation_data_to_array( outcomes=modelbridge.outcomes, observation_data=frontier_observation_data ) f = _array_to_tensor(Y_arr) # Construct observations frontier_observations = [] for i, obsd in enumerate(frontier_observation_data): frontier_observations.append( Observation( features=observation_features[indx[i]], data=obsd, arm_name=arm_names[indx[i]], ) ) return frontier_observations, f, obj_w.cpu(), obj_t.cpu() def pareto_frontier( modelbridge: modelbridge_module.array.ArrayModelBridge, observation_features: List[ObservationFeatures], observation_data: Optional[List[ObservationData]] = None, objective_thresholds: Optional[TRefPoint] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, arm_names: Optional[List[Optional[str]]] = None, use_model_predictions: bool = True, ) -> List[Observation]: """Compute the list of points on the Pareto frontier as `Observation`-s in the untransformed search space. Args: modelbridge: ``Modelbridge`` used to predict metrics outcomes. observation_features: Observation features to consider for the Pareto frontier. observation_data: Data for computing the Pareto front, unless ``observation_features`` are provided and ``model_predictions is True``. objective_thresholds: Metric values bounding the region of interest in the objective outcome space; used to override objective thresholds specified in ``optimization_config``, if necessary. optimization_config: Multi-objective optimization config. arm_names: Arm names for each observation in ``observation_features``. use_model_predictions: If ``True``, will use model predictions at ``observation_features`` to compute Pareto front. If ``False``, will use ``observation_data`` directly to compute Pareto front, ignoring ``observation_features``. Returns: Points on the Pareto frontier as `Observation`-s. """ return get_pareto_frontier_and_configs( modelbridge=modelbridge, observation_features=observation_features, observation_data=observation_data, objective_thresholds=objective_thresholds, optimization_config=optimization_config, arm_names=arm_names, use_model_predictions=use_model_predictions, transform_outcomes_and_configs=False, )[0] def predicted_pareto_frontier( modelbridge: modelbridge_module.array.ArrayModelBridge, objective_thresholds: Optional[TRefPoint] = None, observation_features: Optional[List[ObservationFeatures]] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, ) -> List[Observation]: """Generate a Pareto frontier based on the posterior means of given observation features. Given a model and optionally features to evaluate (will use model training data if not specified), use the model to predict which points lie on the Pareto frontier. Args: modelbridge: ``Modelbridge`` used to predict metrics outcomes. observation_features: Observation features to predict, if provided and ``use_model_predictions is True``. objective_thresholds: Metric values bounding the region of interest in the objective outcome space; used to override objective thresholds specified in ``optimization_config``, if necessary. optimization_config: Multi-objective optimization config. Returns: Observations representing points on the Pareto frontier. """ if observation_features is None: observation_features, _, arm_names = _get_modelbridge_training_data( modelbridge=modelbridge ) else: arm_names = None if not observation_features: raise ValueError( "Must receive observation_features as input or the model must " "have training data." ) pareto_observations = pareto_frontier( modelbridge=modelbridge, objective_thresholds=objective_thresholds, observation_features=observation_features, optimization_config=optimization_config, arm_names=arm_names, ) return pareto_observations def observed_pareto_frontier( modelbridge: modelbridge_module.array.ArrayModelBridge, objective_thresholds: Optional[TRefPoint] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, ) -> List[Observation]: """Generate a pareto frontier based on observed data. Given observed data (sourced from model training data), return points on the Pareto frontier as `Observation`-s. Args: modelbridge: ``Modelbridge`` that holds previous training data. objective_thresholds: Metric values bounding the region of interest in the objective outcome space; used to override objective thresholds in the optimization config, if needed. optimization_config: Multi-objective optimization config. Returns: Data representing points on the pareto frontier. """ # Get observation_data from current training data obs_feats, obs_data, arm_names = _get_modelbridge_training_data( modelbridge=modelbridge ) pareto_observations = pareto_frontier( modelbridge=modelbridge, objective_thresholds=objective_thresholds, observation_data=obs_data, observation_features=obs_feats, optimization_config=optimization_config, arm_names=arm_names, use_model_predictions=False, ) return pareto_observations def hypervolume( modelbridge: modelbridge_module.array.ArrayModelBridge, observation_features: List[ObservationFeatures], objective_thresholds: Optional[TRefPoint] = None, observation_data: Optional[List[ObservationData]] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, selected_metrics: Optional[List[str]] = None, use_model_predictions: bool = True, ) -> float: """Helper function that computes (feasible) hypervolume. Args: modelbridge: The modelbridge. observation_features: The observation features for the in-sample arms. objective_thresholds: The objective thresholds to be used for computing the hypervolume. If None, these are extracted from the optimization config. observation_data: The observed outcomes for the in-sample arms. optimization_config: The optimization config specifying the objectives, objectives thresholds, and outcome constraints. selected_metrics: A list of objective metric names specifying which objectives to use in hypervolume computation. By default, all objectives are used. use_model_predictions: A boolean indicating whether to use model predictions for determining the in-sample Pareto frontier instead of the raw observed values. Returns: The (feasible) hypervolume. """ frontier_observations, f, obj_w, obj_t = get_pareto_frontier_and_configs( modelbridge=modelbridge, observation_features=observation_features, observation_data=observation_data, objective_thresholds=objective_thresholds, optimization_config=optimization_config, use_model_predictions=use_model_predictions, transform_outcomes_and_configs=False, ) if obj_t is None: raise ValueError( "Cannot compute hypervolume without having objective thresholds specified." ) oc = _get_multiobjective_optimization_config( modelbridge=modelbridge, optimization_config=optimization_config, objective_thresholds=objective_thresholds, ) # Set to all metrics if unspecified if selected_metrics is None: selected_metrics = oc.objective.metric_names # filter to only include objectives else: if any(m not in oc.objective.metric_names for m in selected_metrics): raise ValueError("All selected metrics must be objectives.") # Create a mask indicating selected metrics selected_metrics_mask = torch.tensor( [metric in selected_metrics for metric in modelbridge.outcomes], dtype=torch.bool, device=f.device, ) # Apply appropriate weights and thresholds obj, obj_t = get_weighted_mc_objective_and_objective_thresholds( objective_weights=obj_w, objective_thresholds=not_none(obj_t) ) f_t = obj(f) obj_mask = obj_w.nonzero().view(-1) selected_metrics_mask = selected_metrics_mask[obj_mask] f_t = f_t[:, selected_metrics_mask] obj_t = obj_t[selected_metrics_mask] bd = DominatedPartitioning(ref_point=obj_t, Y=f_t) return bd.compute_hypervolume().item() def _get_multiobjective_optimization_config( modelbridge: modelbridge_module.array.ArrayModelBridge, optimization_config: Optional[OptimizationConfig] = None, objective_thresholds: Optional[TRefPoint] = None, ) -> MultiObjectiveOptimizationConfig: # Optimization_config mooc = optimization_config or checked_cast_optional( MultiObjectiveOptimizationConfig, modelbridge._optimization_config ) if not mooc: raise ValueError( ( "Experiment must have an existing optimization_config " "of type `MultiObjectiveOptimizationConfig` " "or `optimization_config` must be passed as an argument." ) ) if not isinstance(mooc, MultiObjectiveOptimizationConfig): raise ValueError( "optimization_config must be a MultiObjectiveOptimizationConfig." ) if objective_thresholds: mooc = mooc.clone_with_args(objective_thresholds=objective_thresholds) return mooc def predicted_hypervolume( modelbridge: modelbridge_module.array.ArrayModelBridge, objective_thresholds: Optional[TRefPoint] = None, observation_features: Optional[List[ObservationFeatures]] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, selected_metrics: Optional[List[str]] = None, ) -> float: """Calculate hypervolume of a pareto frontier based on the posterior means of given observation features. Given a model and features to evaluate calculate the hypervolume of the pareto frontier formed from their predicted outcomes. Args: modelbridge: Modelbridge used to predict metrics outcomes. objective_thresholds: point defining the origin of hyperrectangles that can contribute to hypervolume. observation_features: observation features to predict. Model's training data used by default if unspecified. optimization_config: Optimization config selected_metrics: If specified, hypervolume will only be evaluated on the specified subset of metrics. Otherwise, all metrics will be used. Returns: calculated hypervolume. """ if observation_features is None: observation_features, _, __ = _get_modelbridge_training_data( modelbridge=modelbridge ) if not observation_features: raise ValueError( "Must receive observation_features as input or the model must " "have training data." ) return hypervolume( modelbridge=modelbridge, objective_thresholds=objective_thresholds, observation_features=observation_features, optimization_config=optimization_config, selected_metrics=selected_metrics, ) def observed_hypervolume( modelbridge: modelbridge_module.array.ArrayModelBridge, objective_thresholds: Optional[TRefPoint] = None, optimization_config: Optional[MultiObjectiveOptimizationConfig] = None, selected_metrics: Optional[List[str]] = None, ) -> float: """Calculate hypervolume of a pareto frontier based on observed data. Given observed data, return the hypervolume of the pareto frontier formed from those outcomes. Args: modelbridge: Modelbridge that holds previous training data. objective_thresholds: point defining the origin of hyperrectangles that can contribute to hypervolume. observation_features: observation features to predict. Model's training data used by default if unspecified. optimization_config: Optimization config selected_metrics: If specified, hypervolume will only be evaluated on the specified subset of metrics. Otherwise, all metrics will be used. Returns: (float) calculated hypervolume. """ # Get observation_data from current training data. obs_feats, obs_data, _ = _get_modelbridge_training_data(modelbridge=modelbridge) return hypervolume( modelbridge=modelbridge, objective_thresholds=objective_thresholds, observation_features=obs_feats, observation_data=obs_data, optimization_config=optimization_config, selected_metrics=selected_metrics, use_model_predictions=False, ) def array_to_observation_data( f: np.ndarray, cov: np.ndarray, outcomes: List[str] ) -> List[ObservationData]: """Convert arrays of model predictions to a list of ObservationData. Args: f: An (n x m) array cov: An (n x m x m) array outcomes: A list of d outcome names Returns: A list of n ObservationData """ observation_data = [] for i in range(f.shape[0]): observation_data.append( ObservationData( metric_names=list(outcomes), means=f[i, :].copy(), covariance=cov[i, :, :].copy(), ) ) return observation_data def observation_data_to_array( outcomes: List[str], observation_data: List[ObservationData], ) -> Tuple[np.ndarray, np.ndarray]: """Convert a list of Observation data to arrays. Args: observation_data: A list of n ObservationData Returns: An array of n ObservationData, each containing - f: An (n x m) array - cov: An (n x m x m) array """ means = [] cov = [] for obsd in observation_data: metric_idxs = np.array([obsd.metric_names.index(m) for m in outcomes]) means.append(obsd.means[metric_idxs]) cov.append(obsd.covariance[metric_idxs][:, metric_idxs]) return np.array(means), np.array(cov) def observation_features_to_array( parameters: List[str], obsf: List[ObservationFeatures] ) -> np.ndarray: """Convert a list of Observation features to arrays.""" return np.array([[of.parameters[p] for p in parameters] for of in obsf]) def _array_to_tensor( array: Union[np.ndarray, List[float]], modelbridge: Optional[modelbridge_module.base.ModelBridge] = None, ) -> Tensor: if modelbridge and hasattr(modelbridge, "_array_to_tensor"): # pyre-ignore[16]: modelbridge does not have attribute `_array_to_tensor` return modelbridge._array_to_tensor(array) else: return torch.tensor(array) def _get_modelbridge_training_data( modelbridge: modelbridge_module.array.ArrayModelBridge, ) -> Tuple[List[ObservationFeatures], List[ObservationData], List[Optional[str]]]: obs = modelbridge.get_training_data() return _unpack_observations(obs=obs) def _unpack_observations( obs: List[Observation], ) -> Tuple[List[ObservationFeatures], List[ObservationData], List[Optional[str]]]: obs_feats, obs_data, arm_names = [], [], [] for ob in obs: obs_feats.append(ob.features) obs_data.append(ob.data) arm_names.append(ob.arm_name) return obs_feats, obs_data, arm_names